Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0065 |
| Annualized Std Dev | 0.1461 |
| Annualized Sharpe (Rf=0%) | -0.0443 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4549.0000 |
| NAs | 1.0000 |
| Minimum | -0.1329 |
| Quartile 1 | -0.0036 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0038 |
| Maximum | 0.1317 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0092 |
| Skewness | -0.1251 |
| Kurtosis | 36.9946 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0066 |
| Gain Deviation | 0.0071 |
| Loss Deviation | 0.0077 |
| Downside Deviation (MAR=210%) | 0.0117 |
| Downside Deviation (Rf=0%) | 0.0066 |
| Downside Deviation (0%) | 0.0066 |
| Maximum Drawdown | 0.4637 |
| Historical VaR (95%) | -0.0125 |
| Historical ES (95%) | -0.0213 |
| Modified VaR (95%) | -0.0086 |
| Modified ES (95%) | -0.0086 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2004-03-11 | 2008-10-10 | 2012-11-12 | -0.4637 | 2139 | 1113 | 1026 |
| 2012-11-26 | 2020-03-23 | NA | -0.3294 | 2094 | 1843 | NA |
| 2003-06-05 | 2003-08-11 | 2004-03-09 | -0.1318 | 184 | 46 | 138 |
| 2002-11-29 | 2003-01-27 | 2003-05-22 | -0.0662 | 113 | 35 | 78 |
| 2012-11-13 | 2012-11-15 | 2012-11-19 | -0.0237 | 5 | 3 | 2 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2002 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.3 | 0 | -0.3 |
| 2003 | 0.7 | 0 | 1.3 | 0.5 | -0.1 | 0.6 | -2.8 | 0.4 | 0 | 0.7 | 0.5 | 0.5 | 2.3 |
| 2004 | 0.5 | 0.9 | -0.2 | -1.5 | -0.5 | 1.6 | 0.5 | 0.3 | 0.4 | 0.2 | -2.2 | 0.3 | 0 |
| 2005 | -0.5 | 0.6 | -0.1 | 1 | 0.4 | 0.7 | -1.6 | 0.7 | 0.2 | -0.1 | 0.1 | 0 | 1.4 |
| 2006 | 0.5 | -0.4 | 0.6 | 0 | 2.5 | -0.2 | 0.1 | 0.3 | 0.8 | 0.4 | 0.4 | 0.8 | 6 |
| 2007 | -0.3 | -0.2 | 0.2 | 0 | -0.9 | 0.6 | 0.7 | 0 | 0.8 | 0.4 | -0.1 | 0.4 | 1.5 |
| 2008 | 0.2 | -1.4 | 0.6 | 0.1 | -0.4 | -0.8 | 0.9 | -0.5 | 2 | 0.4 | -1.1 | 0.6 | 0.5 |
| 2009 | 0 | 0 | 0.3 | 0.7 | -1.1 | 0.2 | 0.4 | 0.1 | 2.2 | -0.1 | 1.2 | 1.1 | 5 |
| 2010 | -0.1 | 1.9 | 0.4 | 0 | -0.2 | 0.7 | 0.1 | -0.1 | -0.3 | -1.3 | 0.7 | 0.8 | 2.7 |
| 2011 | 0.3 | 0.5 | 0.3 | 0.2 | 0.7 | -0.2 | 0.7 | 0.3 | 0 | 0.4 | 0 | 0.1 | 3.4 |
| 2012 | 0.5 | -0.1 | -0.5 | -0.5 | 0 | 0.3 | 0.2 | 0.5 | -0.3 | 0.5 | -0.1 | 0.3 | 0.9 |
| 2013 | 0.3 | -0.5 | -0.1 | 0.2 | -1.9 | 0.7 | -1.1 | -0.6 | -0.3 | -0.9 | 0.4 | -0.7 | -4.5 |
| 2014 | 0.6 | -0.1 | 0 | 0 | 0.2 | -0.2 | 0.1 | -0.2 | 0.3 | 0.3 | 0.5 | -0.5 | 1 |
| 2015 | 0.1 | 0.1 | 0.1 | -0.5 | 0.7 | 0.3 | 1 | -0.2 | 0.1 | 0 | 0.4 | 0.5 | 2.6 |
| 2016 | 0.4 | 0.5 | -0.1 | 0.2 | 0.9 | 0.6 | -0.3 | 0.1 | -0.2 | 0.3 | -1.1 | 0.2 | 1.3 |
| 2017 | -0.2 | -0.1 | 0.4 | 0.1 | 0.2 | -0.2 | 0.1 | 0.4 | 0.3 | 0.2 | 0.4 | 0.8 | 2.3 |
| 2018 | 0 | -0.1 | 0.2 | -0.6 | -0.2 | 0.3 | 0.1 | -0.2 | -0.1 | 0.2 | 0.7 | 0.3 | 0.7 |
| 2019 | 0.2 | 0.2 | 0.2 | 0.6 | 0.1 | 0.1 | 0.8 | 0.3 | 0.1 | 0.4 | 0.4 | 0.1 | 3.6 |
| 2020 | -0.2 | -1.5 | -3.5 | 0.7 | 0.4 | 0.2 | 0 | 0.1 | 0 | 0 | 0.2 | 0.2 | -3.5 |
| 2021 | 0.1 | 0.5 | 0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.7 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
